My guess is your camera will only put so many photos in one folder, so it started a new one to accommodate the volume. My D80, for example, won't place more than 999 in a single folder. When the 1000th photo is taken it creates a new folder and places it in there, along with subsequent shots.

As mentioned, you should be able to set the camera to use continuous file numbering so you don't end up with a bunch of photos with the same number.